Empirical study of the market impact in the Tokyo Stock Exchange

Jun-ichi Maskawa ()
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Jun-ichi Maskawa: Fukuyama Heisei University

A chapter in Practical Fruits of Econophysics, 2006, pp 72-76 from Springer

Abstract: Summary We analyze the trades and quotes database of the TSE (Tokyo Stock Exchange) to derive the average price response to transaction volumes. Through the analysis, we point out that the assumption of the independence of the amplitude of returns on the size of transactions cannot fully explain the profile of the average price response.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-4-431-28915-9_12

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DOI: 10.1007/4-431-28915-1_12

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